Oh I feel your pain as I had it happen a couple times actually.
I was lucky enough to have half the slot remain during one occurence and managed to finagle it out with a fatter jewelers screwdriver, but had to chase the threads afterwards with a tap.
Another occasion saw the whole slot part dissapear and leave no trace.
Using another jewelers screwdriver and a set of vice grips to hold it, I treated it kinda like a impact driver. Apply a little twisting pressure against anything it would grab on the screw end, rap it with a hammer (not too hard mind you) then try to turn and repeat until the screw loosens enough that you can spin it out using the screwdriver in whatever little notch you (likely) created by tapping at it.
Note that the above is a time consuming process, but it will work with persistance.
Once they're out, do yourself a favor and head to the local hardware store and get some long allen set screws. (M6 1.0 IIRC)
Cut them to length and grind a taper onto the end like the screws have, spin them in with an allen wrench and never worry about that BS again.